scientific article; zbMATH DE number 1897410
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Publication:4802405
zbMATH Open1113.91319MaRDI QIDQ4802405FDOQ4802405
Authors: A. A. Gushchin, Ernesto Mordecki 
Publication date: 27 April 2003
Title of this publication is not available (Why is that?)
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Cited In (26)
- Recurrence relations for price bounds of contingent claims in discrete time market models
- Model-independent bounds for option prices -- a mass transport approach
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Consistent upper price bounds for exotic options
- Tractable hedging: An implementation of robust hedging strategies
- Forward equations for option prices in semimartingale models
- Comparison results for GARCH processes
- The martingale comparison method for Markov processes
- On the Pricing of American Options in Exponential Lévy Markets
- Expensive martingales
- On some semi-parametric estimates for European option prices
- Limit theorems for prices of options written on semi-Markov processes
- Distribution-free option pricing
- Title not available (Why is that?)
- A new elementary geometric approach to option pricing bounds in discrete time models
- Translation invariant statistical experiments with independent increments
- Bounds for path-dependent options
- Comparison of option prices in semimartingale models
- Testing hypotheses for measures with different masses: Four optimization problems
- Semiparametric bounds of mean and variance for exotic options
- Solving the problem of partial hedging through a dual problem
- Convex ordering criteria for Lévy processes
- Comparison of semimartingales and Lévy processes
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- \( G\)-expectation approach to stochastic ordering
- Bounds on option prices in point process diffusion models
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